Home » Managing Currency Options in Financial Institutions
Product Image

Managing Currency Options in Financial Institutions

Yat-Fai Lam | Kin-Keung Lai
€58.99
Quantity:
In stock with our UK publisher. 14-28 days
Delivery/Collection within 10-20 working days
14 days return policy Shipping & Delivery
A01=Kin-Keung Lai
A01=Yat-Fai Lam
advanced financial mathematics
Atm Option
Atm Volatility
Author_Kin-Keung Lai
Author_Yat-Fai Lam
Basel Ii Framework
Basel III compliance
Black Scholes Formulas
Black Scholes Framework
Black Scholes Values
Black Scholes Volatility
Category=KC
Category=KFFK
Category=KFFL
Category=KFFM
Consecutive Trading Days
Currency options
Derivatives
dynamic hedging strategies
Dynamic portfolio replication
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
EWMA Model
Financial engineering
Financial Information Providers
Financial institutions
Financial instruments
foreign exchange derivatives
Hedging Ratios
Initial Model Assumption
International Foreign Exchange Market
Managing Current Options
Market risk measurement
Option Valuation Model
OTC Derivative
Portfolio Replication
Previous Trading Day
Quadratic Approximation
quantitative risk modelling
Risk Free Rate
risk management for currency derivatives
Self-finance Trading Strategy
Simple Geometric Brownian Motion
Valuation
Value-at-risk calculation
Vanna-Volga method
VaR Methodology
Volatility recovery
Volatility Smile
volatility surface adjustment

Product details

  • ISBN 9781138316935
  • Weight: 272g
  • Dimensions: 156 x 234mm
  • Publication Date: 28 Jun 2018
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Paperback
Secure checkout Fast Shipping Easy returns
Description

The book introduces how we can manage currency options with the Vanna-Volga method. It describes the underlying theories and applications of the Vanna-Volga method in managing currency options of a financial institution, conforming to the Basel III regulatory requirements which demand a high consistency between the valuation and market risk calculation methodologies of financial instruments.

The book illustrates with technical details to shed understanding on the major applications, including valuation, volatility recovery, dynamic portfolio replication and value-at-risk. Those who study finance, risk management, quantitative finance or similar areas, as well as practitioners who wish to learn how to valuate, hedge and manage the market risk of currency options with more advanced models and techniques will find the book of invaluable use.

About Kin-Keung Lai | Yat-Fai Lam
Yat-fai LAM is the Principal at Structured Products Analytics of CapitaLogic Limited, an adjunct faculty teaching master programmes in banking/finance/financial engineering/financial services at City University of Hong Kong and an adjunct dissertation supervisor of The University of Warwick’s Master of Science programmes in Hong Kong. Prior to assuming his current positions Yat-fai has worked for a bank regulator, an international bank, an asset management firm and a credit rating agency, specializing in the implementation of Basel New Capital Accord. Kin-keung LAI received his PhD at Michigan State University in 1977 and is currently a Chair Professor of Management Science at the City University of Hong Kong. He is the President of the Asia-Pacific Industrial Engineering and Management Society, the General Secretary of the Hong Kong Operational Research Society and a council member of the International Federation of Operations Research Societies. His main research interests include supply chain and operation management, forecasting, computational intelligence and risk analysis.

More from this author